Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0400
Annualized Std Dev 0.2762
Annualized Sharpe (Rf=0%) 0.1446

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1308
Quartile 1 -0.0070
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0084
Maximum 0.1637
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0174
Skewness -0.2023
Kurtosis 9.6494

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0123
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.6865
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0259
Modified ES (95%) -0.0422
From Trough To Depth Length To Trough Recovery
2008-05-20 2008-11-20 NA -0.6865 3232 130 NA
2007-10-30 2008-01-23 2008-04-16 -0.1862 116 58 58
2007-07-24 2007-08-16 2007-09-21 -0.1747 43 18 25
2007-02-27 2007-03-05 2007-03-21 -0.0916 17 5 12
2007-10-15 2007-10-22 2007-10-29 -0.0569 11 6 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.3 -0.2 -0.2 0 -0.7
2007 1.1 -0.6 -0.1 -0.7 1.6 0.8 0.1 3 2.4 -3.8 1.6 -1 4.4
2008 3.1 -3.3 1.7 -0.9 -0.3 -2.7 -3 -0.8 -1.4 0.3 -9.4 2.1 -14.3
2009 -3 0 3.2 2 3.9 1.2 2.5 -2.4 -4.3 -4.4 3 -0.3 1.1
2010 3.3 1.6 2.1 -1.9 -2.1 0.4 -0.1 3.9 1.3 -0.1 2.8 0.3 11.8
2011 3 -1 0.7 0.6 -2.3 1 -0.8 -0.9 -3.3 -3.2 -0.5 0.4 -6.5
2012 1.6 1 1 0.5 -1.9 3.8 -0.1 1.5 1 1.2 -0.5 1.8 11.4
2013 1.2 -0.5 -1 -1.5 -1.8 0.7 1 -0.6 0.2 -0.8 0.7 0.4 -2.2
2014 -1 0 0.5 -0.6 -1.2 1 -0.6 0 -1.8 1.2 -0.4 -0.8 -3.8
2015 -0.6 0 0.2 1.6 -0.5 -0.5 0.3 -3.6 0.6 0 0.6 -0.8 -2.7
2016 0 2.6 -0.1 0.6 -0.1 0.7 -0.9 0.9 0.6 -0.3 0.2 -0.7 3.4
2017 0.8 1.8 -0.2 0.2 0.7 0.7 0.1 0.8 0.5 0.6 -0.4 0.1 5.8
2018 -0.3 -1.6 1.5 -0.7 1.4 0.9 -0.8 -0.8 0.7 2.8 -0.3 0.6 3.4
2019 0.3 0 1.9 -1.5 -0.8 0.5 -1.5 1.2 -1.3 1.5 -0.6 0.5 0.1
2020 -2 -1.8 -3.9 -2.2 1.5 -0.1 -1 1.4 -0.4 -0.1 2.4 -0.4 -6.6
2021 1.8 2.4 -0.5 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart